Setting up freight lines is often confusing for beginners. Here are the rules that you have to check so your line can work:
Considering two factories A and B, you want to transport goods from A to B.
Conditions on the factories:
_ A must be supplier of B (you see a link to B in the window of A and vice-versa)
_ If your line has already worked in the past, check that B is not already full of the good you want to transport (in B's window, numbers x/_/y are displayed for this good with x > y)
Conditions on player's line, assuming a direct connection between the two factories:
_ Station A and B must accept goods (in a station's window, just under the field with the name of the station, you see the goods'logo. In pak64 and pak128, it looks like a small pile of dirt) You can make a station accept goods by adding any station building (platform/stop/extension like a warehouse/...) which accepts goods.
_ You have at least one convoy running (out of the depot) which can load the goods you want to transport (bulk vehicles for coal for example). The type of vehicles you have to use is specified in the factories'windows.
If you have a indirect connection between the two factories, ensure that all stations on the way can accept goods and that each line can transport the goods just as explained above.